As climate change leads to increased frequency and severity of drought in many agricultural regions, a prominent adaptation goal is to reduce the drought sensitivity of crop yields. Yet many of the sources of average yield gains are more effective in good weather, leading to heightened drought sensitivity. Here we consider two empirical strategies for detecting changes in drought sensitivity and apply them to maize in the United States, a crop that has experienced myriad management changes including recent adoption of drought-tolerant varieties. We show that a strategy that utilizes weather-driven temporal variations in drought exposure is inconclusive because of the infrequent occurrence of substantial drought. In contrast, a strategy that exploits within-county spatial variability in drought exposure, driven primarily by differences in soil water storage capacity, reveals robust trends over time. Yield sensitivity to soil water storage increased by 55% on average across the US Corn Belt since 1999, with larger increases in drier states. Although yields have been increasing under all conditions, the cost of drought relative to good weather has also risen. These results highlight the difficulty of simultaneously raising average yields and lowering drought sensitivity.